答复: 答复: Term Structures - Initialize from vector of quotes and dates

Posted by cheng li on Aug 18, 2015; 8:40am
URL: http://quantlib.414.s1.nabble.com/Term-Structures-Initialize-from-vector-of-quotes-and-dates-tp16795p16800.html

Hi Lucas,

 

Another vector is for rates jump which you can omit it safely.

 

Regards,

Cheng

 

发件人: Lucas Ingles [mailto:[hidden email]]
发送时间: 2015年8月18日 10:58
收件人: Cheng Li <[hidden email]>
抄送: QuantLib users <[hidden email]>
主题: Re: 答复: [Quantlib-users] Term Structures - Initialize from vector of quotes and dates

 

Cheng Li, thanks for your response.
I will try with that ones. What I dont understand about these objects is why they have 2 vectors of dates and 2 vectors of rates (the Rates/Forwards and Quote vectors). My rates are zero coupon rates from Brasil DI Futures market (they are not forward rates). I will try with the simpler constructors (the one with just the "yields" vector of Rates from InterpolatedZeroCurve).

Thank you again,
Lucas

Em 17/08/2015 22:31, "Cheng Li" <[hidden email]> escreveu:

Hi Lucas,

 

Depending on what the rate really means, you should use InterpolatedZeroCurve or InterpolatedForwardCurve instead.

 

Regards,

Cheng

 

发件人: Lucas Ingles [mailto:[hidden email]]
发送时间: 2015年8月18日 8:40
收件人: QuantLib users <[hidden email]>
主题: [Quantlib-users] Term Structures - Initialize from vector of quotes and dates

 

Hello,

I am trying to use the Term Structure objects from QuantLib in my application.

My situation is: I already have all the points of the curve calculated by another system. In fact, I have a vector of dates and rates with 15000 points already interpolated (in actual days). What I need is a constructor similar to the ones of the class "YieldTermStructure", that takes a vector of Quotes and Dates, but I cant use "YieldTermStructure" direct because the class is abstract. I tried with the other derived term structure classes but with no success. Please, is there any object that suits my needs?

 

Here is a hipotetical example of my curve:

Date                  Actual Days     Rate

17/Aug/2015                      0       10.0%
18/Aug/2015                      1       10.1%

19/Aug/2015                      2       10.2%
20/Aug/2015                      3       10.3%
21/Aug/2015                      4       10.4%
22/Aug/2015                      5       10.5%
     .                                   .          .
     .                                   .          .
     .                                   .          .
22/Aug/2050               12789       14.5%
23/Aug/2050               12790       14.6%

Thank you very much,

--

Lucas Lorenzi Ingles

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